My son lives in NH. I see a lot of pine siding painted out there. My choice would be cedar. Its natural rot resistance seems ideal for the weather out there.
Cedar will turn gray naturally without treatment. I am not a fan of any clear, film finish due to the limited UV protection and possibility of pealing. Most will not stop the graying. If it was mine, I would use an oil base, cedar, semitransparent stain. This doesn't do much for wood protection but rather facilitates color retention.
Roger from the Great Horicon Swamp